Zastosowanie metody głównych składowych do analizy integracji rynków finansowych
The Appl Ication of the Principle Components Method to the Financial Markets Integration Analysis

Summary/Abstract: Purpose – The aim of the paper is to present results of the use of the principal component analysis to examine the degree of the European and American financial markets integration considering the global financial crisis 2007–2009. Design/methodology/approach – We have extracted the first principal component as index of financial integration. We used the monthly logarithmic returns of the major indexes of the largest European markets, the Central and Eastern European emerging markets and the American market in the period March 2003–February 2016. Findings – Our results show the usefulness of the principal components method to the analysis of the financial market integration. The index of integration allows to assess the level of market integration and observe its changes during the bear and bull market. Originality/value – The number of papers using the principal components to measure financial integration is limited. To the best of author’s knowledge, index of financial integration in proposed markets group has not been measured.

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